EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Nearest neighbor truncation"
Narrow search

Narrow search

Year of publication
Subject
All
Finite activity jumps 2 High-frequency data 2 Integrated variance 2 Jump robustness 2 Nearest neighbor truncation 2 Realized volatility 2 Intraday U-shape patterns 1
more ... less ...
Online availability
All
Free 1 Undetermined 1
Type of publication
All
Article 1 Book / Working Paper 1
Language
All
English 1 Undetermined 1
Author
All
Andersen, Torben G. 2 Dobrev, Dobrislav 2 Schaumburg, Ernst 2
Institution
All
School of Economics and Management, University of Aarhus 1
Published in...
All
CREATES Research Papers 1 Journal of Econometrics 1
Source
All
RePEc 2
Showing 1 - 2 of 2
Cover Image
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst - School of Economics and Management, University of Aarhus - 2009
We propose two new jump-robust estimators of integrated variance based on highfrequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...
Persistent link: https://www.econbiz.de/10008472103
Saved in:
Cover Image
Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of Econometrics 169 (2012) 1, pp. 75-93
simulations corroborate the robustness and efficiency properties of our nearest neighbor truncation estimators. …
Persistent link: https://www.econbiz.de/10011052266
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...